def prepare_performance(self):
start = time.time()
perf = self.data.copy()
perf['price'] = perf['close']
size = self.account.initial_capital / perf.iloc[0]['close']
perf['base_equity'] = [price * size for price in perf['close']]
perf['equity'] = [e for _, e in self.account.equity]
# BENCHMARK
perf['benchmark_period_return'] = [
helpers.percent_change(perf['base_equity'][0],
perf['base_equity'][i])
for i in range(0, len(perf['base_equity']))]
perf['benchmark_max_drawdown'] = [
max_drawdown(perf['base_equity'][:i].pct_change())
for i in range(0, len(perf['base_equity']))]
# STRATEGY
perf['algorithm_period_return'] = [
helpers.percent_change(perf['equity'][0],
perf['equity'][i])
for i in range(0, len(perf['equity']))]
perf['returns'] = perf['equity'].pct_change()
perf['max_drawdown'] = [
max_drawdown(perf['equity'][:i].pct_change())
for i in range(0, len(perf['equity']))]
logger.debug(
'Performance prepared for {:.2} sec'.format(time.time() - start))
perf['ending_value'] = 0 # value of opened positions
perf['Annualized Return'] = (1 + perf['algorithm_period_return']).cumprod()[-1]**(len(perf['base_equity'])/365) - 1
perf['alpha'] = '0'
perf['beta'] = '0'
perf['std'] = np.std(perf['returns'])
perf['sharpe'] = perf['Annualized Return']/perf['std']
perf['calmer'] = perf['Annualized Return']/perf['max_drawdown']
return perf
def results_default(self):
"""
Print results of backtest to console
:return:
"""
title = "{:=^52}".format(" Results (freq {}) ".format(
self.sim_params['data_frequency']))
print(title + "\n")
size = self.account.initial_capital / self.data.iloc[0]['close']
self.data['base_equity'] = [
price * size for price in self.data['close']
]
self.data['equity'] = [e for _, e in self.account.equity]
# STRING FORMATS
title_fmt = "{:-^40}"
str_fmt = "{0:<13}: {1:.2f}{2}"
# BENCHMARK
percent_change = helpers.percent_change(self.data['base_equity'][0],
self.data['base_equity'][-1])
bench = [
("Capital", self.account.initial_capital, ""),
("Final Equity", self.data['base_equity'][-1], ""),
("Net profit",
helpers.profit(self.account.initial_capital, percent_change),
" ({:+.2f}%)".format(percent_change * 100)),
("Max Drawdown",
max_drawdown(self.data['base_equity'].pct_change()) * 100, "%"),
]
print(title_fmt.format(" Benchmark "))
for r in bench:
print(str_fmt.format(*r))
# STRATEGY
percent_change = helpers.percent_change(self.data['equity'][0],
self.data['equity'][-1])
fee = sum([t.fee for t in self.account.closed_trades])
strategy = [
("Capital", self.account.initial_capital, ""),
("Final Equity", self.data['equity'][-1], ""),
("Net profit",
helpers.profit(self.account.initial_capital, percent_change),
" ({:+.2f}%)".format(percent_change * 100)),
("Max Drawdown",
max_drawdown(self.data['equity'].pct_change()) * 100, "%"),
("Fees paid", fee, ""),
]
# STATISTICS
longs = len(
[t for t in self.account.opened_trades if t.type_ == 'Long'])
sells = len(
[t for t in self.account.closed_trades if t.type_ == 'Long'])
shorts = len(
[t for t in self.account.opened_trades if t.type_ == 'Short'])
covers = len(
[t for t in self.account.closed_trades if t.type_ == 'Short'])
print(title_fmt.format(" Strategy "))
for r in strategy:
print(str_fmt.format(*r))
# get trades' statistics
l_sr, l_loss, l_win, l_ev = self._trades_analyze(type_=['Long'])
s_sr, s_loss, s_win, s_ev = self._trades_analyze(type_=['Short'])
all_sr, all_loss, all_win, all_ev = self._trades_analyze()
stat = [('Success rate %', l_sr, s_sr, all_sr),
('Avg Win / trade', l_win, s_win, all_win),
('Avg Loss / trade', l_loss, s_loss, all_loss),
('Expected value', l_ev, s_ev, all_ev),
('Open', longs, shorts, longs + shorts),
('Closed', sells, covers, sells + covers),
('Total Trades', longs + sells, shorts + covers,
longs + shorts + sells + covers)]
str_fmt = "{:<20}: {:>10.4f} {:>10.4f} {:>10.4f}"
title_fmt = "{:-^52}"
print(title_fmt.format(" Statistics "))
title_fmt = "{:<20} {:>7} {:>10} {:>10}"
print(title_fmt.format('', 'Long', 'Short', 'All'))
for r in stat:
print(str_fmt.format(*r))
print("-" * len(title))
def results(self):
"""
Print results of backtest to console
:return:
"""
title = "{:=^50}".format(" Results (freq {}) ".format(
self.sim_params['data_frequency']))
print(title + "\n")
begin_price = self.data.iloc[0]['open']
final_price = self.data.iloc[-1]['close']
shares = self.account.initial_capital / self.data.iloc[0]['close']
self.data['base_equity'] = [
price * shares for price in self.data['close']
]
self.data['equity'] = [e for _, e in self.account.equity]
# STRING FORMATS
title_fmt = "{:-^40}"
str_fmt = "{0:<13}: {1:.2f}{2}"
# BENCHMARK
percent_change = helpers.percent_change(self.data['base_equity'][0],
self.data['base_equity'][-1])
benchmark = self.data['base_equity'].pct_change()
bench = [
("Capital", self.account.initial_capital, ""),
("Final Equity", self.data['base_equity'][-1], ""),
("Net profit",
helpers.profit(self.account.initial_capital, percent_change),
" ({:+.2f}%)".format(percent_change * 100)),
("Max Drawdown", max_drawdown(benchmark) * 100, "%"),
]
print(title_fmt.format(" Benchmark "))
for r in bench:
print(str_fmt.format(*r))
# STRATEGY
percent_change = helpers.percent_change(self.data['equity'][0],
self.data['equity'][-1])
open_fee = sum([t.fee for t in self.account.opened_trades])
close_fee = sum([t.fee for t in self.account.closed_trades])
# print trades
# for t in self.account.opened_trades: print(t)
returns = self.data['equity'].pct_change()
strategy = [
("Capital", self.account.initial_capital, ""),
("Final Equity", self.data['equity'][-1], ""),
("Net profit",
helpers.profit(self.account.initial_capital, percent_change),
" ({:+.2f}%)".format(percent_change * 100)),
("Max Drawdown", max_drawdown(returns) * 100, "%"),
("Sharpe Ratio", sharpe_ratio(returns), ""),
("Sortino Ratio", sortino_ratio(returns), ""),
("Alpha", alpha(returns, benchmark), ""),
("Beta", beta(returns, benchmark), ""),
("Fees paid", open_fee + close_fee, ""),
]
print(title_fmt.format(" Strategy "))
for r in strategy:
print(str_fmt.format(*r))
# STATISTICS
longs = len(
[t for t in self.account.opened_trades if t.type_ == 'Long'])
sells = len(
[t for t in self.account.closed_trades if t.type_ == 'Long'])
shorts = len(
[t for t in self.account.opened_trades if t.type_ == 'Short'])
covers = len(
[t for t in self.account.closed_trades if t.type_ == 'Short'])
stat = [
("Longs", longs, ""),
("Sells", sells, ""),
("Shorts", shorts, ""),
("Covers", covers, ""),
("Total Trades", longs + sells + shorts + covers, ""),
]
str_fmt = "{0:<13}: {1:.0f}{2}"
print(title_fmt.format(" Statistics "))
for r in stat:
print(str_fmt.format(*r))
print("-" * len(title))
return percent_change